Nonparametric analysis of portfolio efficiency

A nonparametric method is empirically applied here to test the efficiency in performance of mutual fund portfolios. It provides a more flexible and robust alternative to the traditional mean variance theory.

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Bibliographic Details
Published in:Applied economics letters 2001-04, Vol.8 (4), p.249-252
Main Authors: Sengupta, Jati K., Zohar, T.
Format: Article
Language:English
Subjects:
Applied economics
Financial economics
Investment trusts
Linear programming
Portfolio management
Portfolio selection
Software
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Description
Summary:A nonparametric method is empirically applied here to test the efficiency in performance of mutual fund portfolios. It provides a more flexible and robust alternative to the traditional mean variance theory.
ISSN:1350-4851
1466-4291
DOI:10.1080/135048501750103999